Mostly because they evolved to serve different purposes over time, and by specializing each branch (i.e. FBI into investigating interstate crime, Marshalls to tracking wanted federal fugitives) you can enhance their effectiveness and allow them to better focus on their areas of expertise. That doesn't mean that they can't and don't work together (DEA and the FBI's ATFE division frequently work together in many places), but by dividing the labor, you allow them to focus on doing one or a few things very well, as opposed to being adequate in many areas.

In addition, the different agencies are also set up to prevent one particular agency from becoming too powerful, and prevent the equivalent of an American KGB/SS from arising. The CIA and FBI often have similar tasks, but have completely different jurisdictions (CIA is outside US borders, the FBI within US borders, with some exceptions to each) to prevent one from dominating the political scene and using its own power to curtail the efforts of another (specifically to get more money). In addition, they operate differently with local and state law enforcement, with some frequently working alongside locals (FBI/DEA) and some almost never working with them (Postal Service/CIA).

TL;DR by separating them, the government can better devote its time and resources to each area it operates in.